HOLIDAY EFFECT AND STOCK MARKET RETURNS OF COMMERCIAL BANKS LISTED AT NAIROBI SECURITIES EXCHANGE, KENYA
Deborah Naliaka Njoroge - Master of Business Administration, Jomo Kenyatta University of Agriculture and Technology, Kenya
Dr. Joshua Wepukhulu Matanda - Lecturer, Jomo Kenyatta University of Agriculture and Technology, Kenya
ABSTRACT
This study’s main objective is to ascertain the holiday effect and stock market returns of commercial banks listed at Nairobi Securities Exchange. The specific objective is to determine the existence of the Pre-holiday effect, post-holiday effect, disparities between national and international holiday returns, and disparities between the pre-and post-holiday returns of financial firms listed at Nairobi Securities Exchange. The study was analyzed as an event study with a focus on 8 holidays namely: New Year's, Easter Holiday, Labor Day, Madaraka Day, Mashujaa Day, Jamhuri Day, Christmas holiday, and Eid-all-Fitr holiday using the 10 financial companies listed at the NSE over five years (2017-2021). The average returns for normal days for the period 2017-2021 was found to be 0.004301. Based on the findings, it is concluded that there exists a pre- and post-holiday effect as the mean returns are lower than the normal holiday returns. Since the mean returns for pre- and post-holiday are different, we conclude that there exists a discrepancy between the pre- and post-holiday returns. The returns for the national holidays were significantly higher than the international holidays confirming that the national holidays were most affected by the holiday compared to the international holidays.